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James Dilellio Associate Professor of Decision Sciences

James DiLellio, PhD

Associate Professor of Decision Sciences
Graziadio Business School
Irvine Graduate Campus

Biography

James A. DiLellio, PhD, MBA, is an associate professor of decision sciences in the Graziadio Business School at Pepperdine University. He holds a PhD in Applied Mathematics from Northwestern University, and an MBA from Pepperdine. His current research interests are primarily in the area of nonlinear optimization, simulation, and Kalman filtering techniques for modeling investment problems. The application of this research covers portfolio management, retirement planning, commodity price modeling, and the analysis of investment strategies. He has published papers in Energy Economics, Decision Sciences, Journal of Economics and Finance, Financial Services Review and the Journal of Investing.

Dr. DiLellio has over a decade of domestic and international experience in the aerospace and defense industries. He previously served as a department manager for Raytheon, where he was responsible for over 70 system engineers serving the engineering development needs of a diverse government and commercial customer base. He has also served as a senior manager at the Boeing Company, and previously held key engineering appointments at Raytheon Systems Company and the Aerospace Corporation. Most recently, Dr. DiLellio provided consulting expertise to large corporate clients, including Direxion Investments, Pacific Gas and Electric, and Pacific Life.

Education

  • Northwestern University, 1994-1997, PhD
    Program in Applied Mathematics, College of Engineering and Applied Science 
    Dissertation: Analytical and Numerical Study of Shear Localization Phenomena
  • Pepperdine University, 2004-2007
    MBA, Finance Emphasis

  • Northwestern University 1993-1994
    MS, Program in Applied Mathematics

  • University of Akron, 1989-1993
    BS, Applied Mathematics, Summa Cum Laude

W. J. Hahn, J. A. DiLellio, and J. S. Dyer, “Risk Premia in Commodity Price Forecasts and their Impact on Valuation”, Energy Economics, May 2018.

J. A. DiLellio and D. Ostrov, “Optimal Strategies for Traditional vs. Roth IRA/401(k) Consumption During Retirement”, Decision Sciences, April 2017.

J. A. DiLellio and P. M. Goldfeder, “Is There a Free Lunch in Commission Free ETFs?”, Graziadio Business Review 19, No. 2, 2016.

W. J. Hahn, J. A. DiLellio, and J. S. Dyer, “Market-calibrated Forecasts for Natural Gas Prices”, Energy Institute at the University of Texas at Austin, 2016.

J. A. DiLellio and J. Forsyth, “Possible Evidence of Income falsification on Mortgage Application During The Housing Bubble”, Journal of Business and Finance Research, 5, No. 2, 2016.

J. A. DiLellio, R. Hesse and D. J. Stanley, “Portfolio Performance with inverse and leveraged ETFs”, Financial Services Review, 23, No. 2, 2014, p.123-149.

L. Efremidze, J. A. DiLellio and D. J. Stanley, “Using VIX Entropy Indicators for Style Rotation Timing”, Journal of Investing, Fall 2014, 23 No. 3, pp. 130-143.

J. Hahn, J. A. DiLellio and J. Dyer, “What do market-calibrated stochastic processes indicate about the long-term price of crude oil?”, Energy Economics, 44, July 2014, p. 212-221.

J. A. DiLellio and J. Forsyth, “Government-Sponsored Enterprises and Income Falsification on Mortgage Applications”, International Journal of Business, Accounting and Finance, April 2014.

J. A. DiLellio, “A Kalman Filter Control Technique in Mean-Variance Portfolio Management”, Journal of
Economics and Finance, Online October 2012, 39, pp. 235-261, 2015.

J. A. DiLellio and D. J. Stanley, “ETF Trading Strategies to Enhance Client Wealth Maximization”, Financial Services Review, 20, 2011, p. 145-163.

J. A. DiLellio, “What to do when Traditional Diversification Strategies Fail - Revisited”, Graziadio Business Review, 13, No. 4, 2010.

J. A. DiLellio, "A hybrid GNSS integrity design leveraging a priori signal noise characteristics", Journal of Navigation, 63, No. 3, 2010, p. 513-526.

J. A. DiLellio, “What to do when Traditional Diversification Strategies Fail”, Graziadio Business Report, 12, No. 4, 2009.

J. A. DiLellio and W. E. Olmstead, "Numerical Solution of Shear Localization in Johnson-Cook materials”. Mechanics of Materials, 35, 2003, p. 571-580.

J. A. DiLellio and W. E. Olmstead, “Numerical Solutions of Shear Localization on a Finite Slab”, Mechanics of
Materials, 29, No. 2, 1998, p. 71-80.

J. A. DiLellio and W. E. Olmstead, “Temporal Evolution of Shear Band Thickness”, Journal of Mechanics and Physics of Solids, 45, March 1997, p. 345-359.

J. A. DiLellio and W. E. Olmstead, “Shear Band Formation Due to a Thermal Flux Inhomogeneity”, SIAM Journal on Applied Mathematics, 57, August 1997, p. 959-971.

J. A. DiLellio and G. W. Young, “An Asymptotic Model of the Mold Region in a Continuous Steel Caster”, Metallurgical & Materials Transactions B, 26B, December 1995, p. 1225-1241.

Best Paper Award in Financial Planning – Sponsored by CFP® board of standards, The Academy of Financial Services Annual Meeting (2018)

Julian Virtue Professorship, Pepperdine Graziadio Business School (2018-2020)

Best Paper Award in Retirement Income Planning – Sponsored by the American College of Financial Services®, The Academy of Financial Services Annual Meeting (2015).

Rothschild Applied Research Fellowship, Pepperdine University. (November, 2015).

Julian Virtue Professorship, Pepperdine University Graziadio Business School (2014-16)

Aspire 2025 Series, October 2018. “Constructing Tax Efficient Withdrawal Strategies for Retirees”.

The Academy of Financial Services, Chicago, Illinois, October 2018. “Risk and Reward of Fractionally-leveraged ETFs in a Stock/Bond Portfolio”.

The Academy of Financial Services, Chicago, Illinois, October 2018. “Constructing Tax Efficient Withdrawal Strategies for Retirees with Traditional 401(k)/IRAs, Roth 401(k)/IRAs, and Taxable Accounts”.

Pepperdine Graziadio Academic Forum Poster Pitch, July 10, 2018. “Bootstrapping versus geometric Brownian motion: A tale of two simulation models for portfolio analysis”.

Institute for Operations Research and Management Sciences (INFORMS), Analytics conference, Baltimore, MD, April 2018. “Bootstrapping versus geometric Brownian motion: A tale of two simulation models for portfolio analysis”.

The Decision Sciences Institute, Washington D.C., November 2017. “Technology Driven Operations Management Education”.

The Decision Sciences Institute, Washington D.C., November 2017. “Online Proctoring Tools – an evaluation for online quantitative courses”.

The Western Association of Schools and Colleges (WASC), Academic Resource Conference, April 20, 2017. “Assessing the Impact of Telepresence Robots on Management Education”.

The Decision Sciences Institute, Austin, Texas, November 2016. "Enhancing Management Education via Intelligent Tutors", (with O. P. Hall).

The Decision Sciences Institute, Austin, Texas, November 2016. "Insights from Converting a Hybrid to Online Undergraduate Business Statistics Course".

The Decision Sciences Institute, Austin, Texas, November 2016. "Market-Calibrated Forecasts for Natural Gas Prices", (with W. J. Hahn and J. Dyer).

The Academy of Financial Services, Orlando Florida, October 2015. "An Exact, Optimal Strategy for Traditional vs. Roth IRA/401(k) Consumption During Retirement"

The American Association of Individual Investors, Los Angeles, California. June 21, 2014. "Are you better off with commission-free ETFs?

The Academy of Financial Services, San Antonio, Texas. October 1, 2012. "Market Timing for ETF Style Rotation through the use of Entropy Analytics and the VIX Index" (Presented by L. Efremidze, with D. Stanley).

The International Academy of Business and Public Administration, Honolulu, Hawaii. August 1, 2012. "GSEs and Income Falsification on Mortgage Applications" (presented by J. Forsyth). Paper published in conference proceedings.

DSI Annual meeting – Award Competition Entry, Boston, Massachusetts. November 20, 2011. "An Optimal Control Technique in Constrained Mean-Variance Portfolio Optimization". Paper published in conference proceedings.

DSI Annual meeting – Contributed abstract, Boston, Massachusetts. November 21, 2011. "Optimizing retirement withdrawals from accounts with different tax structures" (with D. Ostrov).

The Academy of Financial Services, Las Vegas, Nevada, October, 2011. Presented (with D. Stanley and R. Hesse) "Risk and Opportunities of Inverse ETFs for Long Term Investors". Paper published in conference proceedings.

INFORMS Annual meeting, Charlotte, North Carolina, November 13, 2011. Co-authored presentation "Parameter Estimation for Two-factor Commodity Price Models" (Presented by J. Hahn, with J. Dyer).

SIAM Conference on Financial Mathematics & Engineering, San Francisco, California. November 19, 2010. Presented "Controlling Portfolio Allocation Using a Kalman Filter and Multi-Factor Model Framework".

Decision Science Annual Meeting, San Diego, California. November 23rd, 2010. Presented "A Four-factor Equity-debt Model for Dynamic Asset Allocation along an Efficient Frontier".

2010 Southern California OR/OM day at UC Irvine, Irvine, California. May 21, 2010. Presented "Kalman Filter Control Techniques in Portfolio Construction". Co-hosted by UC Irvine and Pepperdine University.

Southwest Decision Sciences Institute Annual Meeting, Houston, Texas, March 2010. Presented "An Empirical Study of Kalman Filter Control Techniques in Mean-Variance Portfolio Optimization". Abstract published in conference proceedings.

The Academy of Financial Services, Anaheim, California, October, 2009. Presented (with D. Stanley) "The Financial Planner, Exchange Traded Funds, and ETF Trading Strategies to Enhance Client Wealth Maximization". Paper published in conference proceedings.

The Institute of Navigation International Technical Meeting, Anaheim, California, January 2009. Presented "An Optimized RAIM approach and performance characterization in the presence of non-Gaussian error sources", and published paper in conference proceedings.

International Space University Symposium, Strasbourg, France, May 2003. Presented "The Use of Global Navigation Systems in the Aviation Industry", and published paper in symposium proceedings.

Joint Navigation Conference 2003, Las Vegas, Nevada, April 2003. Presented "Signal-in-Space User Range Error Assessment via Combined Space and Ground-based Measurement Data".

Institute of Navigation GPS 2002, Portland, OR, September 26, 2002. Presented "Signal-in-Space User Range Error Assessment via Combined Space and Ground-based Measurement Data", and published paper in conference proceedings.

Institute of Navigation National Technical Meeting, Anaheim, California, January 2000. Presented (with P. Tran and J. Angus) "Sensitivity of CAT I Precision Approach Availability to Ionospheric Monitoring". Paper published in conference proceedings.

Institute of Navigation National Technical Meeting, San Diego, California, January 2004. Supported presentation (with R. DiEsposti, J. A. DiLellio, C. Kelley, A. Dorsey, H. Fliegel, J. Berg, C. Edgar, T. McKendree, and P. Shome), "The Proposed State Vector Representation of Broadcast Navigation Message for User Equipment Implementation of GPS Satellite Ephemeris Propagation". Paper published in conference proceedings.

Institute of Navigation National Technical Meeting, Anaheim, California, January 2003. Supported presentation (with R. DiEsposti, J. DiLellio, D. Galvin, C. Kelley, J. Shih, "GPS III URA and URRA Information for Optimal User Performance". Paper published in conference proceedings.

Mechanics of Materials Conference, San Diego, California, June 2001. Presented (with W. E. Olmstead) "Numerical Solution of Shear Localization in Johnson-Cook Materials". Extended abstract published in conference proceedings.

The International Association of Institutes of Navigation World Congress, San Diego, California, June 2000. Presented (with P. Tran) "Impacts of GEOs as Ranging Sources on Precision Approach Category I Availability", and published paper in conference proceedings.

The 12th Engineering Mechanics Conference, La Jolla, California, May 1998. Presented (with W. E. Olmstead) "Numerical Simulations of Shear Localization", and published paper in conference proceedings.

The Fourteenth U. S. Army Symposium on Solid Mechanics, Myrtle Beach, South Carolina, October 1996. Supported presentation (with W. E. Olmstead) "The Evolution of Shear Band Width". Paper published in conference proceedings.

Pepperdine University Grant Award - Faculty Innovation in Technology and Learning. Received funding to continue development of a tablet-based interactive e-textbook for business statistics. 2012-2013.

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Topics

  • Optimization
  • Simulation
  • Statistics
  • Valuation
  • Portfolio Theory
  • Real Options
  • Regression
  • Time Series

Courses

  • DESC 471 Statistical Methods and Research Design

  • DESC 656 Quantitative Analysis for Business Operations

  • FINC 638 Financial Modeling

  • DESC 621 Valuation of Real Options